Over the last decade, dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Recent developments in mathematical methods of state-space reconstruction, time-delay embedding, and surrogate data analysis, coupled with readily accessible and powerful computational facilities used in gathering and processing massive quantities of high-frequency data, have provided theorists and practitioners unparalleled opportunities for exploratory data analysis, modelling, forecasting, and control.
Until now, research exploring the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems is sparse and fragmentary at best. Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters.
Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recent years. Less emphasis has been placed on the broader subject of macroeconomics and many economics students are still taught traditional neo-classical economics. The reader is given a general primer in statistical physics, probability theory, and use of correlation functions. Much of the mathematics that is developed is frequently no longer included in undergraduate physics courses. The statistical physics of Boltzmann and Gibbs is one of the oldest disciplines within physics and it can be argued that it was first applied to ensembles of molecules as opposed to being applied to social agents only by way of historical accident. The authors argue by analogy that the theory can be applied directly to economic systems comprising assemblies of interacting agents. The necessary tools and mathematics are developed in a clear and concise manner. The body of work, now termed econophysics, is then developed. The authors show where traditional methods break down and show how the probability distributions and correlation functions can be properly understood using high frequency data. Recent work by the physics community on risk and market crashes are discussed together with new work on betting markets as well as studies of speculative peaks that occur in housing markets. The second half of the book continues the empirical approach showing how by analogy with thermodynamics, a self-consistent attack can be made on macroeconomics. This leads naturally to economic production functions being equated to entropy functions - a new concept for economists. Issues relating to non-equilibrium naturally arise during the development and application of this approach to economics. These are discussed in the context of superstatistics and adiabatic processes. As a result it does seem ultimately possible to reconcile the approach with non-equilibrium systems, and the ideas are applied to study income and wealth distributions, which with their power law distribution functions have puzzled many researchers ever since Pareto discovered them over 100 years ago. This book takes a pedagogical approach to these topics and is aimed at final year undergraduate and beginning gradaute or post-graduate students in physics, economics, and business. However, the experienced researcher and quant should also find much of interest.

Quants, physicists working on Wall Street as quantitative analysts, have been widely blamed for triggering financial crises with their complex mathematical models. Their formulas were meant to allow Wall Street to prosper without risk. But in this penetrating insider's look at the recent economic collapse, Emanuel Derman--former head quant at Goldman Sachs--explains the collision between mathematical modeling and economics and what makes financial models so dangerous. Though such models imitate the style of physics and employ the language of mathematics, theories in physics aim for a description of reality--but in finance, models can shoot only for a very limited approximation of reality. Derman uses his firsthand experience in financial theory and practice to explain the complicated tangles that have paralyzed the economy. "Models.Behaving.Badly. "exposes Wall Street's love affair with models, and shows us why nobody will ever be able to write a model that can encapsulate human behavior.

The Handbook of U.S. Labor Statistics is recognized as an authoritative resource on the U.S. labor force. It continues and enhances the Bureau of Labor Statistics's (BLS) discontinued publication, Labor Statistics. It allows the user to understand recent developments as well as to compare today's economy with past history. This edition includes new tables on occupational safety and health and income in the United States. The Handbook is a comprehensive reference providing an abundance of data on a variety of topics including: *Employment and unemployment; *Earnings; *Prices; *Productivity; *Consumer expenditures; *Occupational safety and health; *Union membership; *Working poor *And much more! Features of the publication In addition to over 215 tables that present practical data, the Handbook provides: *Introductory material for each chapter that contains highlights of salient data and figures that call attention to noteworthy trends in the data *Notes and definitions, which contain concise descriptions of the data sources, concepts, definitions, and methodology from which the data are derived *References to more comprehensive reports which provide additional data and more extensive descriptions of estimation methods, sampling, and reliability measures

Master key spreadsheet and business analytics skills with SPREADSHEET MODELING AND DECISION ANALYSIS: A PRACTICAL INTRODUCTION TO BUSINESS ANALYTICS, 9E, written by respected business analytics innovator Cliff Ragsdale. This edition's clear presentation, realistic examples, fascinating topics and valuable software provide everything you need to become proficient in today's most widely used business analytics techniques using the latest version of Excel (R) in Microsoft (R) Office 365 or Office 2019. Become skilled in the newest Excel functions as well as Analytic Solver (R) and Data Mining add-ins. This edition helps you develop both algebraic and spreadsheet modeling skills. Step-by-step instructions and annotated, full-color screen images make examples easy to follow and show you how to apply what you learn about descriptive, predictive and prescriptive analytics to real business situations. WebAssign online tools and author-created videos further strengthen understanding.

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.

Since the financial crisis, the issue of the 'one percent' has become the centre of intense public debate, unavoidable even for members of the elite themselves. Moreover, inquiring into elites has taken centre-stage once again in both journalistic investigations and academic research. New Directions in Elite Studies attempts to move the social scientific study of elites beyond economic analysis, which has greatly improved our knowledge of inequality, but is restricted to income and wealth. In contrast, this book mobilizes a broad scope of research methods to uncover the social composition of the power elite - the 'field of power'. It reconstructs processes through which people gain access to positions in this particular social space, examines the various forms of capital they mobilize in the process - economic, but also cultural and social capital - and probes changes over time and variations across national contexts. Bringing together the most advanced research into elites by a European and multidisciplinary group of scholars, this book presents an agenda for the future study of elites. It will appeal to all those interested in the study of elites, inequality, class, power, and gender inequality.

The book aims at perfecting the national governance system and improving national governance ability. It evaluates the balance sheets of the state and residents, non-financial corporations, financial institutions and the central bank, the central government, local government and external sectors - the goal being to provide a systematic analysis of the characteristics and trajectory of China's economic expansion and structural adjustment, as well as objective assessments of short and long-term economic operations, debt risks and financial risks with regard to the institutional and structural characteristics of economic development in market-oriented reform. It puts forward a preliminary analysis of China's national and sectoral balance sheets on the basis of scientific estimates of various kinds of data, analyzes from a new perspective the major issues that are currently troubling China - development sustainability, government transformation, local government debt, welfare reform, and the financial opening-up and stability - and explores corresponding policies, measures, and institutional arrangements.

Microsimulation models provide an exciting new tool for analysing the distributional impact and cost of government policy changes. They can also be used to analyse the current or future structure of society. This volume contains papers describing new developments at the frontiers of microsimulation modelling, and draws upon experiences in a wide range of countries. Some papers aim to share with other modellers, experience gained in designing and running microsimulation models and their use in government policy formulation. They also examine issues at the frontiers of the discipline, such as how to include usage of health, education and welfare services in models. Other chapters focus upon describing the innovative new approaches being taken in dynamic microsimulation modelling. They describe some of the policy applications for which dynamic models are being used in Europe, Australia and New Zealand. Topics covered include retirement income modelling, pension reform, the behavioural impact of tax changes, child care demand, and the inclusion of government services within models. Attention is also given to validating the results of models and estimating their statistical reliability.

First published in 1992, The Efficiency of New Issue Markets provides a comprehensive overview of under-pricing and through this assess the efficiency of new issue markets. The book provides a further theoretical development of the adverse selection model of the new issue market and addresses the hypothesis that the method of distribution of new issues has an important bearing on the efficiency of these markets. In doing this, the book tests the efficiency of the Offer for Sale new issue market, which demonstrates the validity of the adverse selection model and contradicts the monopsony power hypothesis. This examines the relative efficiency of the new issue markets which demonstrates the importance of distribution in determining relative efficiency.

This book explores the possibility of using social media data for detecting socio-economic recovery activities. In the last decade, there have been intensive research activities focusing on social media during and after disasters. This approach, which views people's communication on social media as a sensor for real-time situations, has been widely adopted as the "people as sensor" approach. Furthermore, to improve recovery efforts after large-scale disasters, detecting communities' real-time recovery situations is essential, since conventional socio-economic recovery indicators, such as governmental statistics, are not published in real time. Thanks to its timeliness, using social media data can fill the gap. Motivated by this possibility, this book especially focuses on the relationships between people's communication on Twitter and Facebook pages, and socio-economic recovery activities as reflected in the used-car market data and the housing market data in the case of two major disasters: the Great East Japan Earthquake and Tsunami of 2011 and Hurricane Sandy in 2012. The book pursues an interdisciplinary approach, combining e.g. disaster recovery studies, crisis informatics, and economics. In terms of its contributions, firstly, the book sheds light on the "people as sensors" approach for detecting socio-economic recovery activities, which has not been thoroughly studied to date but has the potential to improve situation awareness during the recovery phase. Secondly, the book proposes new socio-economic recovery indicators: used-car market data and housing market data. Thirdly, in the context of using social media during the recovery phase, the results demonstrate the importance of distinguishing between social media data posted both by people who are at or near disaster-stricken areas and by those who are farther away.

Suitable for statisticians, mathematicians, actuaries, and students interested in the problems of insurance and analysis of lifetimes, Statistical Methods with Applications to Demography and Life Insurance presents contemporary statistical techniques for analyzing life distributions and life insurance problems. It not only contains traditional material but also incorporates new problems and techniques not discussed in existing actuarial literature. The book mainly focuses on the analysis of an individual life and describes statistical methods based on empirical and related processes. Coverage ranges from analyzing the tails of distributions of lifetimes to modeling population dynamics with migrations. To help readers understand the technical points, the text covers topics such as the Stieltjes, Wiener, and Ito integrals. It also introduces other themes of interest in demography, including mixtures of distributions, analysis of longevity and extreme value theory, and the age structure of a population. In addition, the author discusses net premiums for various insurance policies. Mathematical statements are carefully and clearly formulated and proved while avoiding excessive technicalities as much as possible. The book illustrates how these statements help solve numerous statistical problems. It also includes more than 70 exercises.

This book describes a system of mathematical models and methods that can be used to analyze real economic and managerial decisions and to improve their effectiveness. Application areas include: management of development and operation budgets, assessment and management of economic systems using an energy entropy approach, equation of exchange rates and forecasting foreign exchange operations, evaluation of innovative projects, monitoring of governmental programs, risk management of investment processes, decisions on the allocation of resources, and identification of competitive industrial clusters. The proposed methods and models were tested on the example of Kazakhstan's economy, but the generated solutions will be useful for applications at other levels and in other countries. Regarding your book "Mathematical Methods and Models in Economics", I am impressed because now it is time when "econometrics" is becoming more appreciated by economists and by schools that are the hosts or employers of modern economists. ... Your presented results really impressed me. John F. Nash, Jr., Princeton University, Nobel Memorial Prize in Economic Sciences The book is within my scope of interest because of its novelty and practicality. First, there is a need for realistic modeling of complex systems, both natural and artificial that conclude computer and economic systems. There has been an ongoing effort in developing models dealing with complexity and incomplete knowledge. Consequently, it is clear to recognize the contribution of Mutanov to encapsulate economic modeling with emphasis on budgeting and innovation. Secondly, the method proposed by Mutanov has been verified by applying to the case of the Republic of Kazakhstan, with her vibrant emerging economy. Thirdly, Chapter 5 of the book is of particular interest for the computer technology community because it deals with innovation. In summary, the book of Mutanov should become one of the outstanding recognized pragmatic guides for dealing with innovative systems. Andrzej Rucinski, University of New Hampshire This book is unique in its theoretical findings and practical applicability. The book is an illuminating study based on an applied mathematical model which uses methods such as linear programming and input-output analysis. Moreover, this work demonstrates the author's great insight and academic brilliance in the fields of finance, technological innovations and marketing vis-a-vis the market economy. From both theoretical and practical standpoint, this work is indeed a great achievement. Yeon Cheon Oh, President of Seoul National University

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

In many applications of econometrics and economics, a large proportion of the questions of interest are identification. An economist may be interested in uncovering the true signal when the data could be very noisy, such as time-series spurious regression and weak instruments problems, to name a few. In this book, High-Dimensional Econometrics and Identification, we illustrate the true signal and, hence, identification can be recovered even with noisy data in high-dimensional data, e.g., large panels. High-dimensional data in econometrics is the rule rather than the exception. One of the tools to analyze large, high-dimensional data is the panel data model.High-Dimensional Econometrics and Identification grew out of research work on the identification and high-dimensional econometrics that we have collaborated on over the years, and it aims to provide an up-todate presentation of the issues of identification and high-dimensional econometrics, as well as insights into the use of these results in empirical studies. This book is designed for high-level graduate courses in econometrics and statistics, as well as used as a reference for researchers.

This handbook covers DEA topics that are extensively used and solidly based. The purpose of the handbook is to (1) describe and elucidate the state of the field and (2), where appropriate, extend the frontier of DEA research. It defines the state-of-the-art of DEA methodology and its uses. This handbook is intended to represent a milestone in the progression of DEA. Written by experts, who are generally major contributors to the topics to be covered, it includes a comprehensive review and discussion of basic DEA models, which, in the present issue extensions to the basic DEA methods, and a collection of DEA applications in the areas of banking, engineering, health care, and services. The handbook's chapters are organized into two categories: (i) basic DEA models, concepts, and their extensions, and (ii) DEA applications. First edition contributors have returned to update their work.

The second edition includes updated versions of selected first edition chapters. New chapters have been added on: different approaches with no need for a priori choices of weights (called multipliers) that reflect meaningful trade-offs, construction of static and dynamic DEA technologies, slacks-based model and its extensions, DEA models for DMUs that have internal structures network DEA that can be used for measuring supply chain operations, Selection of DEA applications in the service sector with a focus on building a conceptual framework, research design and interpreting results.

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Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve better tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered.Volume 2 is about statistical methods related to structural change in time series models. The approach adopted is off-line whereby one wants to test for structural change using a historical dataset and perform hypothesis testing. A distinctive feature is the allowance for multiple structural changes. The methods discussed have, and continue to be, applied in a variety of fields including economics, finance, life science, physics and climate change. The articles included address issues of estimation, testing and/or inference in a variety of models: short-memory regressors and errors, trends with integrated and/or stationary errors, autoregressions, cointegrated models, multivariate systems of equations, endogenous regressors, long-memory series, among others. Other issues covered include the problems of non-monotonic power and the pitfalls of adopting a local asymptotic framework. Empirical analyses are provided for the US real interest rate, the US GDP, the volatility of asset returns and climate change.

This volume of Advances in Econometrics contains a selection of papers presented at the "Econometrics of Complex Survey Data: Theory and Applications" conference organized by the Bank of Canada, Ottawa, Canada, from October 19-20, 2017. The papers included in this volume span a range of methodological and practical topics including survey collection comparisons, imputation mechanisms, the bootstrap, nonparametric techniques, specification tests, and empirical likelihood estimation using complex survey data. For academics and students with an interest in econometrics and the ways in which complex survey data can be used and evaluated, this volume is essential.

Originally published in 1978. This book is designed to enable students on main courses in economics to comprehend literature which employs econometric techniques as a method of analysis, to use econometric techniques themselves to test hypotheses about economic relationships and to understand some of the difficulties involved in interpreting results. While the book is mainly aimed at second-year undergraduates undertaking courses in applied economics, its scope is sufficiently wide to take in students at postgraduate level who have no background in econometrics - it integrates fully the mathematical and statistical techniques used in econometrics with micro- and macroeconomic case studies.

The goal of this book is to assess the efficacy of India's financial deregulation programme by analyzing the developments in cost efficiency and total factor productivity growth across different ownership types and size classes in the banking sector over the post-deregulation years. The work also gauges the impact of inclusion or exclusion of a proxy for non-traditional activities on the cost efficiency estimates for Indian banks, and ranking of distinct ownership groups. It also investigates the hitherto neglected aspect of the nature of returns-to-scale in the Indian banking industry. In addition, the work explores the key bank-specific factors that explain the inter-bank variations in efficiency and productivity growth. Overall, the empirical results of this work allow us to ascertain whether the gradualist approach to reforming the banking system in a developing economy like India has yielded the most significant policy goal of achieving efficiency and productivity gains. The authors believe that the findings of this book could give useful policy directions and suggestions to other developing economies that have embarked on a deregulation path or are contemplating doing so.

Herbert Scarf is a highly esteemed distinguished American economist. He is internationally famous for his early epoch-making work on optimal inventory policies and his highly influential study with Andrew Clark on optimal policies for a multi-echelon inventory problem, which initiated the important and flourishing field of supply chain management. Equally, he has gained world recognition for his classic study on the stability of the Walrasian price adjustment processes and his fundamental analysis on the relationship between the core and the set of competitive equilibria (the so-called Edgeworth conjecture). Further achievements include his remarkable sufficient condition for the existence of a core in non-transferable utility games and general exchange economies, his seminal paper with Lloyd Shapley on housing markets, and his pioneering study on increasing returns and models of production in the presence of indivisibilities. All in all, however, the name of Scarf is always remembered as a synonym for the computation of economic equilibria and fixed points. In the early 1960s he invented a path-breaking technique for computing equilibrium prices.This work has generated a major research field in economics termed Applied General Equilibrium Analysis and a corresponding area in operations research known as Simplicial Fixed Point Methods. This book comprises all his research articles and consists of four volumes. The volume collects Herbert Scarf's papers in the area of Applied Equilibrium Analysis.

The book describes the structure of the Keynes-Leontief Model (KLM) of Japan and discusses how the Japanese economy can overcome the long-term economic deflation that has taken place since the mid-1990s. The large-scale econometric model and its analysis have been important for planning several policy measures and examining the economic structure of a country. However, it seems that the development and maintenance of the KLM would be very costly. The book discusses how the KLM is developed and employed for the policy analyses.

Technical analysis points out that the best source of information to beat the market is the price itself. Introducing readers to technical analysis in a more succinct and practical way, Ramlall focuses on the key aspects, benefits, drawbacks, and the main tools of technical analysis. Chart Patterns, Point & Figure, Stochastics, Sentiment indicators, Elliot Wave Theory, RSI, R, Candlesticks and more are covered, including both the concepts and the practical applications. Also including programming technical analysis tools, this book is a valuable tool for both researchers and practitioners.

It is impossible to understand modern economics without knowledge of the basic tools of gametheory and mechanism design. This book provides a graduate-level introduction to the economic modeling of strategic behavior. The goal is to teach Economics doctoral students the tools of game theory and mechanism design that all economists should know.

Exotic Betting at the Racetrack is unique as it covers the efficient-inefficient strategy to price and find profitable racetrack bets, along with handicapping that provides actual bets made by the author on essentially all of the major wagers offered at US racetracks. The book starts with efficiency, accuracy of the win odds, arbitrage, and optimal betting strategies. Examples and actual bets are shown for various wagers including win, place and show, exacta, quinella, double, trifecta, superfecta, Pick 3, 4 and 6 and rainbow pick 5 and 6. There are discussions of major races including the Breeders' Cup, Pegasus, Dubai World Cup and the US Triple Crown from 2012-2018. Dosage analysis is also described and used. An additional feature concerns great horses such as the great mares Rachel Alexandra, Zenyatta, Goldikova, Treve, Beholder and Song Bird. There is a discussion of horse ownership and a tour through arguably the world's top trainer Frederico Tesio and his stables and horses in Italy.Related Link(s)